Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0296
Annualized Std Dev 0.2046
Annualized Sharpe (Rf=0%) 0.1445

Row

Daily Return Statistics

Close
Observations 5097.0000
NAs 1.0000
Minimum -0.1080
Quartile 1 -0.0052
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0060
Maximum 0.1205
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0129
Skewness -0.0893
Kurtosis 10.0571

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0093
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5793
Historical VaR (95%) -0.0192
Historical ES (95%) -0.0311
Modified VaR (95%) -0.0187
Modified ES (95%) -0.0266
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2017-05-25 -0.5793 2408 339 2069
2000-12-12 2002-10-09 2006-10-26 -0.4621 1474 454 1020
2020-02-13 2020-03-23 2020-08-06 -0.3143 122 27 95
2018-01-29 2018-12-24 2019-05-03 -0.1829 318 229 89
2020-09-03 2020-09-23 2020-11-16 -0.1002 52 14 38

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA NA NA NA NA NA -0.4 -0.4
2001 0.7 -1.2 1.3 2.1 0.2 1 0.5 0.1 0.3 3.1 0.2 -0.3 8.5
2002 0 2.3 -0.3 1 0 -0.3 -3 1.3 4.3 1.9 0 0 7.2
2003 1.8 1.2 0.8 0.4 1.3 -1.5 -1.3 0 1.4 0.1 1.4 0.6 6.5
2004 -0.8 1 0.5 0.5 0 -1.1 -0.2 -0.2 1.8 -0.3 0.9 -0.2 1.8
2005 1.1 0.7 -0.5 1.3 0.6 -0.2 0.1 0.6 -0.6 -0.1 1.8 -0.6 4.2
2006 0.2 0.6 -0.7 -0.6 0.8 0.2 -0.5 0.5 -0.2 -0.3 -0.4 -0.5 -0.8
2007 0.5 -1 -0.4 0.4 0.6 0.2 0.3 1.5 1.3 -2.4 0.4 -0.9 0.6
2008 1.3 -2.5 3.4 1 0.1 -0.1 -0.7 -0.9 0 1.2 -7.9 1.1 -4.5
2009 -1.8 -1.8 2.1 0.8 2.2 1.1 0.7 -2.2 -2.8 -3.1 1.9 -0.9 -3.7
2010 1.6 0.6 0.9 -1.3 -1.4 0.4 -0.1 3.3 0.9 -0.3 2.5 0.4 7.5
2011 2.2 -1.5 0.6 0.2 -2 1.2 -0.7 -0.9 -2.7 -3.4 -0.4 -0.1 -7.5
2012 1 0.8 0.6 0.5 -2.1 2.8 0.1 0.7 0.7 0.8 0 1.3 7.3
2013 0.7 -0.2 -0.4 -0.8 -1.8 0.6 0.9 -0.7 0.6 -0.1 0.2 0.3 -0.8
2014 -1.3 0.4 0.4 0 0.2 0.7 -0.5 0.1 -1.2 1.4 -0.2 -0.9 -0.9
2015 -1.6 -0.2 -0.1 0.8 -0.3 0.7 -0.3 -3.2 0.3 -0.2 0.8 -0.9 -4.3
2016 -0.1 2.5 -0.1 -0.6 0.1 0.2 -0.4 0 0.6 -0.5 -0.1 -0.2 1.6
2017 0.3 1.4 -0.3 0.3 0.5 -0.1 0.3 0.2 0.5 0.2 -0.2 -0.2 2.9
2018 -0.1 -1.5 0.9 0 1.1 0.4 0.2 -0.4 0.6 1 0.2 0.4 3
2019 -0.4 0.6 1.2 -0.7 -1.1 0.8 -0.7 0.2 -1 0.9 -0.5 0.3 -0.4
2020 -1.4 -0.5 -3.9 -2.5 0.7 0.5 0.5 0.8 0.5 -1 1.7 -0.1 -4.9
2021 1.6 2 -0.2 NA NA NA NA NA NA NA NA NA 3.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-12-08  36.3 SPY    134.  0.0023   0.0132  -0.0469  -0.104   -0.0557       NA       NA <NA>     NA    NA       NA
2 2000-12-11  36.6 SPY    139.  0.0348   0.0396  -0.01    -0.0663  -0.0246       NA       NA <NA>     NA    NA       NA
3 2000-12-12  36.4 SPY    138. -0.0043   0.0023   0.0103  -0.0729  -0.0193       NA       NA <NA>     NA    NA       NA
4 2000-12-14  35.8 SPY    134. -0.0127   0.0056  -0.0339  -0.08    -0.0543       NA       NA <NA>     NA    NA       NA
5 2000-12-15  35.3 SPY    131. -0.0225  -0.0193  -0.0586  -0.0918  -0.0792       NA       NA <NA>     NA    NA       NA
6 2000-12-18  34.9 SPY    133.  0.0134  -0.0426  -0.0339  -0.0908  -0.0631       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart